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  • Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio.
  • Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio. (en)
  • Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio. (cs)
Title
  • Imprecise Volatility and Option Replication and Hedging
  • Imprecise Volatility and Option Replication and Hedging (en)
  • Imprecise Volatility and Option Replication and Hedging (cs)
skos:prefLabel
  • Imprecise Volatility and Option Replication and Hedging
  • Imprecise Volatility and Option Replication and Hedging (en)
  • Imprecise Volatility and Option Replication and Hedging (cs)
skos:notation
  • RIV/61989100:27510/07:00014634!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GP402/05/P085)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
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  • 425753
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/07:00014634
http://linked.open...riv/jazykVysledku
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  • Option pricing; replication; hedging; volatility; interval; hedging error; super-replication (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [9906CD6C7482]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000262102500044
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-1457-5
http://localhost/t...ganizacniJednotka
  • 27510
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